Title :
Analysis of expected utility toward fuzzy random wealth and its application in portfolio selection
Author :
You, Surong ; Tan, Lulu
Author_Institution :
Coll. of Sci., Donghua Univ., Shanghai, China
Abstract :
An expected utility model is proposed to measure the utility toward fuzzy random wealth. Some properties and concepts, such as increasing, concaveness and certainty equivalence are analyzed. Based on maximizing the expected utility, two models are given to consider how to form an optimal portfolio. The first problem is to invest between a riskless asset and an uncertainty asset with fuzzy random value. The second problem deals with investing among a set of fuzzy random assets under short-selling prohibition. Some properties on the optimal portfolio are discussed.
Keywords :
fuzzy set theory; investment; optimisation; random processes; utility theory; expected utility model; fuzzy random assets; fuzzy random value; fuzzy random wealth; maximization; optimal portfolio; riskless asset; uncertainty asset; Educational institutions; Erbium; Portfolios; Programming; Random variables; Security; Uncertainty; expected utility; fuzzy random variable; portfolio selection;
Conference_Titel :
Fuzzy Systems and Knowledge Discovery (FSKD), 2012 9th International Conference on
Conference_Location :
Sichuan
Print_ISBN :
978-1-4673-0025-4
DOI :
10.1109/FSKD.2012.6233875
